Crytpo Currency Exploration

Get Bitcoin data

Cdn dollar value

btc <- getSymbols(Symbols="BTC-CAD", auto.assign=FALSE)
## remove today
btc <- btc[1:nrow(btc)-1,]
summary(btc)

##      Index             BTC-CAD.Open    BTC-CAD.High    BTC-CAD.Low   
##  Min.   :2019-09-18   Min.   : 6996   Min.   : 7439   Min.   : 5721  
##  1st Qu.:2020-02-20   1st Qu.:11519   1st Qu.:11711   1st Qu.:11314  
##  Median :2020-07-24   Median :13564   Median :13785   Median :13271  
##  Mean   :2020-07-24   Mean   :25072   Mean   :25772   Mean   :24293  
##  3rd Qu.:2020-12-26   3rd Qu.:33748   3rd Qu.:35091   3rd Qu.:33310  
##  Max.   :2021-05-30   Max.   :79624   Max.   :81446   Max.   :77726  
##                       NA's   :4       NA's   :4       NA's   :4      
##  BTC-CAD.Close   BTC-CAD.Volume      BTC-CAD.Adjusted
##  Min.   : 6931   Min.   :1.625e+10   Min.   : 6931   
##  1st Qu.:11519   1st Qu.:2.935e+10   1st Qu.:11519   
##  Median :13567   Median :4.528e+10   Median :13567   
##  Mean   :25115   Mean   :4.983e+10   Mean   :25115   
##  3rd Qu.:34036   3rd Qu.:6.410e+10   3rd Qu.:34036   
##  Max.   :79598   Max.   :4.471e+11   Max.   :79598   
##  NA's   :4       NA's   :4           NA's   :4

Take a look

## basic chart_Series from quantmod
chart_Series(Cl(btc))

btc45d <- tail(btc, n=45)
summary(btc45d[,1:4])

##      Index             BTC-CAD.Open    BTC-CAD.High    BTC-CAD.Low   
##  Min.   :2021-04-16   Min.   :41798   Min.   :43964   Min.   :37107  
##  1st Qu.:2021-04-27   1st Qu.:51847   1st Qu.:52563   1st Qu.:45708  
##  Median :2021-05-08   Median :65519   Median :67812   Median :60980  
##  Mean   :2021-05-08   Mean   :61378   Mean   :63231   Mean   :58138  
##  3rd Qu.:2021-05-19   3rd Qu.:69735   3rd Qu.:71450   3rd Qu.:66872  
##  Max.   :2021-05-30   Max.   :79368   Max.   :79831   Max.   :75503  
##  BTC-CAD.Close  
##  Min.   :41809  
##  1st Qu.:49186  
##  Median :64719  
##  Mean   :60568  
##  3rd Qu.:69605  
##  Max.   :77018

chart_Series(btc45d)

Get Ethereum data

eth <- getSymbols(Symbols="ETH-CAD", auto.assign=FALSE)
## remove today - empty
eth <- eth[1:nrow(eth)-1,]
summary(eth)

##      Index             ETH-CAD.Open     ETH-CAD.High     ETH-CAD.Low    
##  Min.   :2019-09-18   Min.   : 154.6   Min.   : 164.6   Min.   : 132.5  
##  1st Qu.:2020-02-20   1st Qu.: 244.7   1st Qu.: 250.9   1st Qu.: 240.3  
##  Median :2020-07-24   Median : 373.8   Median : 380.5   Median : 350.2  
##  Mean   :2020-07-24   Mean   : 883.1   Mean   : 919.5   Mean   : 842.8  
##  3rd Qu.:2020-12-26   3rd Qu.: 843.0   3rd Qu.: 915.9   3rd Qu.: 826.9  
##  Max.   :2021-05-30   Max.   :5050.3   Max.   :5267.4   Max.   :4588.7  
##                       NA's   :4        NA's   :4        NA's   :4       
##  ETH-CAD.Close    ETH-CAD.Volume      ETH-CAD.Adjusted
##  Min.   : 154.9   Min.   :6.923e+09   Min.   : 154.9  
##  1st Qu.: 244.8   1st Qu.:1.258e+10   1st Qu.: 244.8  
##  Median : 374.6   Median :1.862e+10   Median : 374.6  
##  Mean   : 887.1   Mean   :2.393e+10   Mean   : 887.1  
##  3rd Qu.: 876.6   3rd Qu.:3.010e+10   3rd Qu.: 876.6  
##  Max.   :5043.1   Max.   :1.025e+11   Max.   :5043.1  
##  NA's   :4        NA's   :4           NA's   :4

Take a look

## basic chart_Series from quantmod
chart_Series(Cl(eth))

Zoom in recent periods

eth90d <- tail(eth, n=90)
summary(eth90d[,1:4])

##      Index             ETH-CAD.Open   ETH-CAD.High   ETH-CAD.Low  
##  Min.   :2021-03-02   Min.   :1885   Min.   :1959   Min.   :1841  
##  1st Qu.:2021-03-24   1st Qu.:2280   1st Qu.:2349   1st Qu.:2183  
##  Median :2021-04-15   Median :2730   Median :2922   Median :2583  
##  Mean   :2021-04-15   Mean   :2953   Mean   :3091   Mean   :2794  
##  3rd Qu.:2021-05-07   3rd Qu.:3335   3rd Qu.:3488   3rd Qu.:3157  
##  Max.   :2021-05-30   Max.   :5050   Max.   :5267   Max.   :4589  
##  ETH-CAD.Close 
##  Min.   :1886  
##  1st Qu.:2290  
##  Median :2756  
##  Mean   :2963  
##  3rd Qu.:3344  
##  Max.   :5043

chart_Series(eth90d)

eth45d <- tail(eth, n=45)
summary(eth45d[,1:4])

##      Index             ETH-CAD.Open   ETH-CAD.High   ETH-CAD.Low  
##  Min.   :2021-04-16   Min.   :2535   Min.   :2849   Min.   :2097  
##  1st Qu.:2021-04-27   1st Qu.:2948   1st Qu.:3124   1st Qu.:2667  
##  Median :2021-05-08   Median :3344   Median :3504   Median :3182  
##  Mean   :2021-05-08   Mean   :3571   Mean   :3767   Mean   :3317  
##  3rd Qu.:2021-05-19   3rd Qu.:4226   3rd Qu.:4346   3rd Qu.:3952  
##  Max.   :2021-05-30   Max.   :5050   Max.   :5267   Max.   :4589  
##  ETH-CAD.Close 
##  Min.   :2546  
##  1st Qu.:2939  
##  Median :3358  
##  Mean   :3565  
##  3rd Qu.:4229  
##  Max.   :5043

chart_Series(eth45d)

Correlation: BTC, ETH

since beginning 2017

kryptos <- merge(btc, eth, join='outer', fill=NA)
kryptos2017 <- kryptos['2017-01-01/']

chart_Series(kryptos[,c(4,8)])

kryptos_all <- kryptos
kryptos <- kryptos["2017-01-01/"]
chart.Correlation(kryptos[,c(4,10)], histogram=TRUE)

Explore Correlation

df_kryptos <- as.data.frame(kryptos)
df_kryptos$date <- row.names(df_kryptos)
df_kryptos %>% ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()

df_kryptos <- df_kryptos %>% mutate(
  yr=year(date),
  mth=month(date)
)

df_kryptos %>% ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(yr)))+geom_point()

Correlations vary by year. Of most relevance in most recent yr correlation.

2020

df_kryptos_2020 <- df_kryptos %>% filter(date>='2020-01-01' & date<='2020-12-31')

df_kryptos_2020 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()+
  geom_smooth(method='lm')

By Month

df_kryptos_2020 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(mth)))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2020 %>% 
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point(aes(color=as.factor(mth)))+
  geom_smooth(method='lm')

chart.Correlation(df_kryptos_2020[,c(2,3,4,5,8,9,10,11)], histogram=TRUE)

2021

df_kryptos_2021 <- df_kryptos %>% filter(date>='2021-01-01' & date<='2021-12-31')

df_kryptos_2021 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point()+
  geom_smooth(method='lm')

By Month

df_kryptos_2021 %>%
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close, color=as.factor(mth)))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2021 %>% 
  ggplot(aes(x=BTC.CAD.Close, y=ETH.CAD.Close))+geom_point(aes(color=as.factor(mth)))+
  geom_smooth(method='lm')

Distribution

2020

Prices

BTC

df_kryptos_2020 %>% ggplot(aes(x=as.factor(mth), y=BTC.CAD.Close))+geom_boxplot()

ETH

df_kryptos_2020 %>% ggplot(aes(x=as.factor(mth), y=ETH.CAD.Close))+geom_boxplot()

Returns

BTC

kryptos2020 <- kryptos_all["2020-01-01/2020-12-31"]
kryptos2020_btc_ret <- dailyReturn(kryptos2020$BTC.CAD.Close)
dygraph(kryptos2020_btc_ret)

kryptos2020_btc_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2020_btc_ret))

ETH

kryptos2020 <- kryptos_all["2020-01-01/2020-12-31"]
kryptos2020_eth_ret <- dailyReturn(kryptos2020$ETH.CAD.Close)
dygraph(kryptos2020_eth_ret)

kryptos2020_eth_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2020_eth_ret))

Combined

kryptos2020_ret <- merge(kryptos2020_btc_ret, kryptos2020_eth_ret, join='outer', fill=NA)

dygraph(kryptos2020_ret)

## convert to data frame for scatterplots etc
df_kryptos_2020_ret <- as.data.frame(kryptos2020_ret)
colnames(df_kryptos_2020_ret) <- c("BTC_ret","ETH_ret")

ggplot(df_kryptos_2020_ret, aes(x=BTC_ret, y=ETH_ret))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2020_ret %>% ggplot(aes(x=BTC_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2020_ret$BTC_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2020_ret$BTC_ret), color='green')+
  geom_vline(xintercept=0-sd(df_kryptos_2020_ret$BTC_ret), color='blue')+
  geom_text(aes(label=round(sd(BTC_ret),3)), color='blue', 
                x=sd(df_kryptos_2020_ret$BTC_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(BTC_ret),3)), color='blue',
            x=mean(df_kryptos_2020_ret$BTC_ret), y=100, hjust= -0.2)

df_kryptos_2020_ret %>% ggplot(aes(x=ETH_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2020_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=0-sd(df_kryptos_2020_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2020_ret$ETH_ret), color='green')+
  geom_text(aes(label=round(sd(ETH_ret),3)), color='blue', 
                x=sd(df_kryptos_2020_ret$ETH_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(ETH_ret),3)), color='green',
            x=mean(df_kryptos_2020_ret$ETH_ret), y=100, hjust= -0.2)

2021

Prices

BTC

df_kryptos_2021 %>% ggplot(aes(x=as.factor(mth), y=BTC.CAD.Close))+geom_boxplot()

ETH

df_kryptos_2021 %>% ggplot(aes(x=as.factor(mth), y=ETH.CAD.Close))+geom_boxplot()

Returns

BTC

kryptos2021 <- kryptos_all["2021-01-01/2021-12-31"]
kryptos2021_btc_ret <- dailyReturn(kryptos2021$BTC.CAD.Close)
dygraph(kryptos2021_btc_ret)

kryptos2021_btc_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2021_btc_ret))

ETH

kryptos2021 <- kryptos_all["2021-01-01/2021-12-31"]
kryptos2021_eth_ret <- dailyReturn(kryptos2021$ETH.CAD.Close)
dygraph(kryptos2021_eth_ret)

kryptos2021_eth_ret %>% ggplot(aes(x=.))+geom_histogram()+
  geom_vline(xintercept = mean(kryptos2021_eth_ret))

Combined

kryptos2021_ret <- merge(kryptos2021_btc_ret, kryptos2021_eth_ret, join='outer', fill=NA)

dygraph(kryptos2021_ret)

## convert to data frame for scatterplots etc
df_kryptos_2021_ret <- as.data.frame(kryptos2021_ret)
colnames(df_kryptos_2021_ret) <- c("BTC_ret","ETH_ret")

ggplot(df_kryptos_2021_ret, aes(x=BTC_ret, y=ETH_ret))+geom_point()+
  geom_smooth(method='lm')

df_kryptos_2021_ret %>% ggplot(aes(x=BTC_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2021_ret$BTC_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2021_ret$BTC_ret), color='green')+
  geom_vline(xintercept=0-sd(df_kryptos_2021_ret$BTC_ret), color='blue')+
  geom_text(aes(label=round(sd(BTC_ret),3)), color='blue', 
                x=sd(df_kryptos_2021_ret$BTC_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(BTC_ret),3)), color='blue',
            x=mean(df_kryptos_2021_ret$BTC_ret), y=100, hjust= -0.2)

df_kryptos_2021_ret %>% ggplot(aes(x=ETH_ret))+geom_histogram()+
  geom_vline(xintercept=sd(df_kryptos_2021_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=0-sd(df_kryptos_2021_ret$ETH_ret), color='blue')+
  geom_vline(xintercept=mean(df_kryptos_2021_ret$ETH_ret), color='green')+
  geom_text(aes(label=round(sd(ETH_ret),3)), color='blue', 
                x=sd(df_kryptos_2021_ret$ETH_ret), y=70, hjust= -0.1)+
  geom_text(aes(label=round(mean(ETH_ret),3)), color='green',
            x=mean(df_kryptos_2021_ret$ETH_ret), y=100, hjust= -0.2)

PERIOD RETURNS

At the end of the day…what matters is what your return is at the end of the day. :)

df_kryptos_2021ytd <- df_kryptos_2021 %>% filter(date==min(date) | date==max(date)) %>% select(date, yr, mth, BTC.CAD.Close, ETH.CAD.Close) %>%
  mutate(BTC.CAD.ret=BTC.CAD.Close/lag(BTC.CAD.Close)-1,
         ETH.CAD.ret=ETH.CAD.Close/lag(ETH.CAD.Close)-1)

df_kryptos_2021ytd_lg <- df_kryptos_2021ytd %>% 
                          filter(date==max(date)) %>%
                          select(date, yr, mth, BTC.CAD.ret, ETH.CAD.ret) %>%
                          pivot_longer(cols=c(4:5),
                                      names_to='coin',
                                      values_to='ytd_return')

df_kryptos_2021ytd_lg %>% ggplot(aes(x=coin, y=ytd_return))+
                               geom_col()+
                              scale_y_continuous(labels=percent)

df_kryptos_2021ytd[,c(4:7)]

##            BTC.CAD.Close ETH.CAD.Close BTC.CAD.ret ETH.CAD.ret
## 2021-01-01      37393.09      929.7528          NA          NA
## 2021-05-30      43094.72     2887.1899   0.1524781    2.105331

MULTIPLE Currencies

Get data

ccurrency <- c("BTC-CAD", "ETH-CAD","LTC-CAD","BCH-CAD")

kryptos_multi <- NULL
for(c in ccurrency){
  kryptos_multi <- cbind(kryptos_multi,
                         getSymbols(Symbols=c, 
                                 from='2018-01-01', periodicity='daily', 
                                 auto.assign = FALSE)[,4])
}

Check correlations

chart.Correlation(kryptos_multi, histogram=TRUE)

Crytpo Currency Exploration

JY

2021-05-31

Get Bitcoin data

Take a look

Get Ethereum data

Take a look

Zoom in recent periods

Correlation: BTC, ETH

Explore Correlation

2020

By Month

2021

By Month

Distribution

2020

Prices

BTC

ETH

Returns

BTC

ETH

Combined

2021

Prices

BTC

ETH

Returns

BTC

ETH

Combined

PERIOD RETURNS

MULTIPLE Currencies

Get data

Check correlations